QuantLib_FdHestonBarrierEngine man page

FdHestonBarrierEngine — Finite-Differences Heston Barrier Option engine.


#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>

Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >.

Public Member Functions

FdHestonBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), const boost::shared_ptr< LocalVolTermStructure > &leverageFct=boost::shared_ptr< LocalVolTermStructure >())

void calculate () const

Additional Inherited Members

Detailed Description

Finite-Differences Heston Barrier Option engine.


the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FdHestonBarrierEngine(3) is an alias of QuantLib_FdHestonBarrierEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016